Research Article
Design and Risk Management of an S&P 500-Linked Snowball Auto-callable: A Comparative Analysis Using Monte Carlo Simulation and PDE Method
@INPROCEEDINGS{10.4108/eai.17-1-2025.2355240, author={Chenyan Zheng and Hanxi Qin and Jiani Han}, title={Design and Risk Management of an S\&P 500-Linked Snowball Auto-callable: A Comparative Analysis Using Monte Carlo Simulation and PDE Method}, proceedings={Proceedings of the 4th International Conference on Computing Innovation and Applied Physics, CONF-CIAP 2025, 17-23 January 2025, Eskişehir, Turkey}, publisher={EAI}, proceedings_a={CONF-CIAP}, year={2025}, month={4}, keywords={snowball autocallable pricing monte carlo simulation pde sensitivity analysis}, doi={10.4108/eai.17-1-2025.2355240} }- Chenyan Zheng
Hanxi Qin
Jiani Han
Year: 2025
Design and Risk Management of an S&P 500-Linked Snowball Auto-callable: A Comparative Analysis Using Monte Carlo Simulation and PDE Method
CONF-CIAP
EAI
DOI: 10.4108/eai.17-1-2025.2355240
Abstract
This paper discusses the design of an S&P 500-linked Snowball Auto-callable, which aims to enrich the derivatives market. It is essential to ensure effective risk management in light of the increased complexity of the market during the COVID-19 crisis. Considering that options serve as a key financial instrument for hedging, we evaluate our product using two pricing methods - PDEs and Monte Carlo simulations. Additionally, we analyze internal and external risks, offering both investors and issuers hedge strategies and recommendations.
Copyright © 2025–2025 EAI
